Tests for multiple change points under ordered alternatives

We consider the problem of testing the null hypothesis of no change against the alternative of multiple change points in a series of independent observations when the changes are in the same direction. We extend the tests of Terpstra (1952), Jonckheere (1954) and Puri (1965) to the change point setup. We obtain the asymptotic null distribution of the proposed tests. We also give approximations for their limiting critical values and tables of their finite sample Monte Carlo critical values. The results of Monte Carlo power studies conducted to compare the proposed tests with some competitors are reported. This research was supported by research grant SS045 of Kuwait University. Acknowledgments. We wish to thank the two referees for their comments and suggestions which have significantly improved the presentation. We are particularly thankful to one of the referees for suggesting the test statistics T_n1 ^* (k) and T_n2 ^* (k).     

U-statistics for sequential change detection

Large sample approximations for sequential U-statistics using anti-symmetric kernels are considered both under no-change and change hypotheses. These new approximations make it easy to perform sequential tests. Received: November 1999     

构建最小入侵检测特征集的贪心算法

文章通过贪心算法构建入侵检测特征串的最小特征集,并生成基于该最小特征集的确定有限状态自动机(DFA)。实验结果表明:该方法减少入侵检测特征的存储空间40%,提高了基于DFA模式匹配的入侵检测速度,有效提升了入侵检测软硬件系统的性能。     

Inferring strategies from observed actions: a nonparametric, binary tree classification approach

This paper introduces a non-parametric binary classification tree approach to inferring unobserved strategies from the observed actions of economic agents. The strategies are in the form of possibly nested if–then statements. We apply our approach to experimental data from the repeated ultimatum game, which was conducted in four different countries by Roth et al. (Am. Econ. Rev. 81 (1991) 1068). We find that strategy inference is consistent with existing inference, provides new explanations for subject behavior, and provides new empirically based hypotheses regarding ultimatum game strategies. We conclude that strategy inference is potentially useful as a complementary method of statistical inference in applied research.     

Nonparametric estimation of structural change points in volatility models for time series

We propose a hybrid estimation procedure that combines the least squares and nonparametric methods to estimate change points of volatility in time series models. Its main advantage is that it does not require any specific form of marginal or transitional densities of the process. We also establish the asymptotic properties of the estimators when the regression and conditional volatility functions are not known. The proposed tests for change points of volatility are shown to be consistent and more powerful than the nonparametric ones in the literature. Finally, we provide simulations and empirical results using the Hong Kong stock market index (HSI) series.     

A genetic algorithm for the partial binary constraint satisfaction problem: an application to a frequency assignment problem

We describe a genetic algorithm for the partial constraint satisfaction problem. The typical elements of a genetic algorithm, selection, mutation and cross-over, are filled in with combinatorial ideas. For instance, cross-over of two solutions is performed by taking the one or two domain elements in the solutions of each of the variables as the complete domain of the variable. Then a branch-and-bound method is used for solving this small instance. When tested on a class of frequency assignment problems this genetic algorithm produced the best known solutions for all test problems. This feeds the idea that combinatorial ideas may well be useful in genetic algorithms.     

A note on the uniform distribution on the arcsin points

In his book Pukelsheim [8] pointed out that designs supported at the arcsin points are very efficient for the statistical inference in a polynomial regression model. In this note we determine the canonical moments of a class of distributions which have nearly equal weights at the arcsin points. The class contains theD-optimal arcsin support design and theD ₁-optimal design for a polynomial regression. The results allow explicit representations ofD-, andD ₁-efficiencies of these designs in all polynomial models with a degree less than the number of support points of the design.     

An information theoretical algorithm for analyzing supersaturated designs for a binary response

A supersaturated design is a factorial design in which the number of effects to be estimated is greater than the number of runs. It is used in many experiments, for screening purpose, i.e., for studying a large number of factors and identifying the active ones. In this paper, we propose a method for screening out the important factors from a large set of potentially active variables through the symmetrical uncertainty measure combined with the information gain measure. We develop an information theoretical analysis method by using Shannon and some other entropy measures such as Rényi entropy, Havrda–Charvát entropy, and Tsallis entropy, on data and assuming generalized linear models for a Bernoulli response. This method is quite advantageous as it enables us to use supersaturated designs for analyzing data on generalized linear models. Empirical study demonstrates that this method performs well giving low Type I and Type II error rates for any entropy measure we use. Moreover, the proposed method is more efficient when compared to the existing ROC methodology of identifying the significant factors for a dichotomous response in terms of error rates.     

基于视频图像的车辆检测算法研究

固定镜头下视频序列中的运动汽车目标的检测、分割、跟踪及计数等底层视觉问题进行了研究,提出了计算交通流量的算法。仿真实现表明:此算法可以有效的去噪、检测目标并计数。     

房产调控艰难转身

中秋节前夕，供职于北京某外企的白民为父母在崇文门附近买下了一套膳．价65万元的二手房。与买第一套房子时的“马拉松”式挑选不同，这次从看房到付钱白民前后只花了一个多星期。“听说银行马上要提高第二套住房的首付了，还是抓紧买了吧。”     

A simple voting scheme generates all binary relations on finite sets

A simple head-to-head voting scheme in which voters hold complete and transitive preferences over alternatives generates all binary relations on finite sets. The minimal number of voters required to generate a binary relation provides a measure of complexity for binary relations. Complexity so defined tells us, by how much a given binary relation fails to qualify as a total preorder.     

Prediction from binary choice models: A note

The results of Westin (1974) can be obtained, to a satisfactory approximation, without recourse to numerical integration. We also show how to attach a standard error to his point estimates.     

A class of non binary unequally replicatedE-optimal designs

In a situation where the given set of parameters (b, k andv) precludes the existence of any known optimal block designs, but an optimal block design is known to exist with parametersb, k andv*>v, a new design is shown to be useful. This (b, k, v) design is obtained from the (b, k, v*) optimal design by collapsing the classes of a suitable paritition of the treatment set (of the latter design) to treatments (of the former). We call the new design a quotient of the original design. Although the quotient is non binary and unequally replicated, it turns out to beE-optimal within the class of all proper and connected designs withb, k andv, provided the replication number of the optimal design we start with is not too large.     

Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels

Stationary bootstrapping is applied to a CUSUM test for common mean break detection in cross-sectionally correlated panel data. Asymptotic null distribution of the bootstrapped test is derived, which is the same as that of the original CUSUM test depending on cross-sectional correlation parameter. A bootstrap test using the CUSUM test with bootstrap critical values is proposed and its asymptotic validity is proved. Finite sample Monte-Carlo simulation shows that the proposed test has reasonable size while other existing tests have severe size distortion under cross-section correlation. The simulation also shows good power performance of the proposed test against non-cancelling mean changes. The simulation also shows that the theoretically justified stationary bootstrapping CUSUM test has comparable size and power relative to other, theoretically unjustified, moving block or tapered block bootstrapping CUSUM tests.     

The multiple filter test for change point detection in time series

A framework for the detection of change points in the expectation in sequences of random variables is presented. Specifically, we investigate time series with general distributional assumptions that may show an unknown number of change points in the expectation occurring on multiple time scales and that may also contain change points in other parameters. To that end we propose a multiple filter test (MFT) that tests the null hypothesis of constant expectation and, in case of rejection of the null hypothesis, an algorithm that estimates the change points.The MFT has three important benefits. First, it allows for general distributional assumptions in the underlying model, assuming piecewise sequences of i.i.d. random variables, where also relaxations with regard to identical distribution or independence are possible. Second, it uses a MOSUM type statistic and an asymptotic setting in which the MOSUM process converges weakly to a functional of a Brownian motion which is then used to simulate the rejection threshold of the statistical test. This approach enables a simultaneous application of multiple MOSUM processes which improves the detection of change points that occur on different time scales. Third, we also show that the method is practically robust against changes in other distributional parameters such as the variance or higher order moments which might occur with or even without a change in expectation. A function implementing the described test and change point estimation is available in the R package MFT.     

A note on Khilnani and TSE's USA algorithm

We present a modification of algorithm USA of Khilnani and Tse which is guaranteed to converge to the unique equilibrium solution from an arbitrary starting point.     

企业并购绩效的二次相对评价法

文章讨论了将二次相对评价模型引入企业并购绩效的评价中,以消除评价时受目标企业规模效应等客观基础条件的影响,从而真正反映企业并购的主观有效努力程度,为我国并购绩效方法做出有益补充。     

浅谈装修工程质量控制要点

要使施工质量得到保证,除了施工中使用合格的材料、优秀的施工人员外,最主要是严格按照相关国家规范和有关标准的要求来完成每一道工序,严禁偷工减料,狠抓施工过程的质量控制。文章对建筑装饰装修工程的质量控制进行了简要论述。     

从阿里巴巴“拥抱变化”所想到的

中国最大电子商务企业阿里巴巴的企业信条——＂拥抱变化＂,带给我们深刻的启示：企业要在动态多变的环境中站稳脚跟、求得长足发展,必须不断推动企业变革;有效推动企业变革需要理解变革、谋划变革、实施变革、巩固变革,同时要把握好变与不变的关系。